Importance Sampling for the Ruin Problem for general gaussian Processes
نویسندگان
چکیده
We study a family of importance sampling estimators for the problem of computing the probability of level crossing when the crossing level is large, or when the intensity of the noise is small. We give general results concerning centered gaussian processes with drift and develop a method which allows to compute explicitly the asymptotics of the second order moment, with a special mention for the fractional Brownian Motion case. The main tools are some refined versions of classical large deviations results and, for the fractional Brownian Motion, recent results on changes of probability by Norros et al. AMS 1991 subject classifications. Primary 60F10; secondary 60J60, 60G15, 65C50.
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